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Polyhedral Coherent Risk Measures in the Case of Imprecise Scenario Estimates

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Abstract

Polyhedral coherent risk measures are extended to the case of imprecise scenario estimates of random variables. Optimization problems under uncertainty are considered that cover a wide class of stochastic programming and robust optimization problems. It is shown how they are reduced to linear programming problems in the linear case. Problems of portfolio optimization by the reward-to-risk ratio are considered.

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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine

    V. S. Kirilyuk

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  1. V. S. Kirilyuk
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Correspondence to V. S. Kirilyuk.

Additional information

Translated from Kibernetika i Sistemnyi Analiz, No. 3, May–June, 2018, pp. 94–105.

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Kirilyuk, V.S. Polyhedral Coherent Risk Measures in the Case of Imprecise Scenario Estimates. Cybern Syst Anal 54, 423–433 (2018). https://doi.org/10.1007/s10559-018-0043-y

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  • DOI: https://doi.org/10.1007/s10559-018-0043-y

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